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Chart X grid, standard timeframes

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This commit is contained in:
Michael Schimmel
2025-07-13 21:49:42 +02:00
parent 840904e42d
commit 4d67d9acbe
8 changed files with 619 additions and 165 deletions
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AuraTrader/AuraTrader.dproj
+1 -1
View File
@@ -4,7 +4,7 @@
<ProjectVersion>20.3</ProjectVersion>
<FrameworkType>FMX</FrameworkType>
<Base>True</Base>
<Config Condition="'$(Config)'==''">Debug</Config>
<Config Condition="'$(Config)'==''">Release</Config>
<Platform Condition="'$(Platform)'==''">Win64</Platform>
<ProjectName Condition="'$(ProjectName)'==''">AuraTrader</ProjectName>
<TargetedPlatforms>3</TargetedPlatforms>
AuraTrader/FirstStrategy.pas
+48 -9
View File
@@ -13,8 +13,6 @@ uses
Myc.Trade.DataArray;
type
TTimeframe = (M1, M5, H1, D);
TMycGenericConverter<S, T> = class(TMycConverter<S, T>)
type
TConvertFunc = reference to function(const Value: S): T;
@@ -54,11 +52,11 @@ type
TGenericIndicator<S, T> = class(TIndicator<S, T>)
private
FFunc: TFunc<S, T>;
FFunc: TIndicatorFunc<S, T>;
protected
function Calculate(const Value: S): T; override; final;
public
constructor Create(const AFunc: TFunc<S, T>);
constructor Create(const AFunc: TIndicatorFunc<S, T>);
end;
implementation
@@ -76,14 +74,49 @@ begin
end;
function TTicksToTimeframe.GetBarStartTime(const TimeStamp: TDateTime; const Timeframe: TTimeframe): TDateTime;
var
baseTime: TDateTime;
begin
// Align the time grid to UTC 0:00 using functions from System.DateUtils
baseTime := RecodeMilliSecond(TimeStamp, 0);
case Timeframe of
M1: Result := RecodeSecond(RecodeMilliSecond(TimeStamp, 0), 0);
M5: Result := RecodeMinute(RecodeSecond(RecodeMilliSecond(TimeStamp, 0), 0), MinuteOf(TimeStamp) - MinuteOf(TimeStamp) mod 5);
H1: Result := RecodeMinute(RecodeSecond(RecodeMilliSecond(TimeStamp, 0), 0), 0);
S: Result := baseTime;
S5: Result := RecodeSecond(baseTime, SecondOf(TimeStamp) - (SecondOf(TimeStamp) mod 5));
S15: Result := RecodeSecond(baseTime, SecondOf(TimeStamp) - (SecondOf(TimeStamp) mod 15));
S30: Result := RecodeSecond(baseTime, SecondOf(TimeStamp) - (SecondOf(TimeStamp) mod 30));
M: Result := RecodeSecond(baseTime, 0);
M2: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 2));
M3: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 3));
M5: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 5));
M10: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 10));
M15: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 15));
M30: Result := RecodeMinute(RecodeSecond(baseTime, 0), MinuteOf(TimeStamp) - (MinuteOf(TimeStamp) mod 30));
H: Result := RecodeMinute(RecodeSecond(baseTime, 0), 0);
H2: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 2));
H3: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 3));
H4: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 4));
H8: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 8));
H12: Result := RecodeHour(RecodeMinute(RecodeSecond(baseTime, 0), 0), HourOf(TimeStamp) - (HourOf(TimeStamp) mod 12));
D: Result := StartOfTheDay(TimeStamp);
// D2, D3 are uncommon; this is a simple modulo-based approach relative to TDateTime's epoch.
D2: Result := Floor(TimeStamp) - (Floor(TimeStamp) mod 2);
D3: Result := Floor(TimeStamp) - (Floor(TimeStamp) mod 3);
W: Result := TimeStamp.StartOfTheWeek;
MN: Result := TimeStamp.StartOfTheMonth;
// Quarter alignment
MN3: Result := RecodeMonth(TimeStamp.StartOfTheMonth, (MonthOf(TimeStamp) - 1) div 3 * 3 + 1);
// Half-year alignment
MN6: Result := RecodeMonth(TimeStamp.StartOfTheMonth, (MonthOf(TimeStamp) - 1) div 6 * 6 + 1);
Y: Result := TimeStamp.StartOfTheYear;
else
// Fallback for any undefined timeframe
Result := 0;
end;
end;
@@ -122,7 +155,9 @@ begin
begin
// A new bar starts, so the previous one is now complete.
if (lastBarTime > 0) then
begin
states.Add(Broadcast(FCurrentBar));
end;
// Start a new bar, Volume is 1 because this is the first tick.
currentBar := TOhlcItem.Create(midPrice, midPrice, midPrice, midPrice, 1);
@@ -161,12 +196,16 @@ begin
Result := Broadcast(FFunc(Value));
end;
{ TIndicator<S,T> }
function TIndicator<S, T>.ProcessData(const Value: S): TState;
begin
Result := FQueue.Enqueue(function: TState begin Result := Broadcast(Calculate(Value)); end);
Result := Broadcast(Calculate(Value));
end;
constructor TGenericIndicator<S, T>.Create(const AFunc: TFunc<S, T>);
{ TGenericIndicator<S,T> }
constructor TGenericIndicator<S, T>.Create(const AFunc: TIndicatorFunc<S, T>);
begin
inherited Create;
FFunc := AFunc;
AuraTrader/MainForm.pas
+39 -26
View File
@@ -165,17 +165,25 @@ begin
/////
var OhlcPoint: IMycConverter<TArray<TDataPoint<TAskBidItem>>, TDataPoint<TOhlcItem>> := TTicksToTimeframe.Create(M1);
var timeframe := TTimeframe.S15;
var OhlcPoint: IMycConverter<TArray<TDataPoint<TAskBidItem>>, TDataPoint<TOhlcItem>> := TTicksToTimeframe.Create(timeframe);
var Timestamps: IMycConverter<TDataPoint<TOhlcItem>, TDateTime> :=
TMycGenericConverter<TDataPoint<TOhlcItem>, TDateTime>
.Create(function(const Ohlc: TDataPoint<TOhlcItem>): TDateTime begin Result := Ohlc.Time; end);
OhlcPoint.Sender.Link(TimeStamps);
chart.SetXAxisSeries(timeframe, Timestamps.Sender);
var Panel := chart.Panels[0];
var Ohlc: IMycConverter<TDataPoint<TOhlcItem>, TOhlcItem> :=
TMycGenericConverter<TDataPoint<TOhlcItem>, TOhlcItem>
.Create(function(const Ohlc: TDataPoint<TOhlcItem>): TOhlcItem begin Result := Ohlc.Data; end);
OhlcPoint.Sender.Link(Ohlc);
Panel.AddOhlcSeries(Ohlc.Sender);
var Closes: IMycConverter<TOhlcItem, Double> :=
TMycGenericConverter<TOhlcItem, Double>.Create(function(const Ohlc: TOhlcItem): Double begin Result := Ohlc.Close; end);
@@ -184,17 +192,17 @@ begin
var Hull: IMycConverter<Double, Double> := TGenericIndicator<Double, Double>.Create(TIndicators.CreateHMA(150));
Closes.Sender.Link(Hull);
chart.Panels[0].AddDoubleSeries(Hull.Sender, TAlphaColors.Aliceblue);
Panel.AddDoubleSeries(Hull.Sender, TAlphaColors.Aliceblue);
// Add SMA (Simple Moving Average)
var Sma: IMycConverter<Double, Double> := TGenericIndicator<Double, Double>.Create(TIndicators.CreateSMA(50));
Closes.Sender.Link(Sma);
chart.Panels[0].AddDoubleSeries(Sma.Sender, TAlphaColors.Yellow);
Panel.AddDoubleSeries(Sma.Sender, TAlphaColors.Yellow);
// Add EMA (Exponential Moving Average)
var Ema: IMycConverter<Double, Double> := TGenericIndicator<Double, Double>.Create(TIndicators.CreateEMA(21));
Closes.Sender.Link(Ema);
chart.Panels[0].AddDoubleSeries(Ema.Sender, TAlphaColors.Aqua);
Panel.AddDoubleSeries(Ema.Sender, TAlphaColors.Aqua);
// Add Bollinger Bands (20, 2.0)
var Boli: IMycConverter<Double, TBollingerBandsResult> :=
@@ -205,59 +213,64 @@ begin
TMycGenericConverter<TBollingerBandsResult, Double>
.Create(function(const Item: TBollingerBandsResult): Double begin Result := Item.UpperBand; end);
Boli.Sender.Link(BoliUpper);
chart.Panels[0].AddDoubleSeries(BoliUpper.Sender, TAlphaColors.Gray);
Panel.AddDoubleSeries(BoliUpper.Sender, TAlphaColors.Gray);
var BoliMiddle: IMycConverter<TBollingerBandsResult, Double> :=
TMycGenericConverter<TBollingerBandsResult, Double>
.Create(function(const Item: TBollingerBandsResult): Double begin Result := Item.MiddleBand; end);
Boli.Sender.Link(BoliMiddle);
chart.Panels[0].AddDoubleSeries(BoliMiddle.Sender, TAlphaColors.Darkgray, 1.0);
Panel.AddDoubleSeries(BoliMiddle.Sender, TAlphaColors.Darkgray, 1.0);
var BoliLower: IMycConverter<TBollingerBandsResult, Double> :=
TMycGenericConverter<TBollingerBandsResult, Double>
.Create(function(const Item: TBollingerBandsResult): Double begin Result := Item.LowerBand; end);
Boli.Sender.Link(BoliLower);
chart.Panels[0].AddDoubleSeries(BoliLower.Sender, TAlphaColors.Gray);
Panel.AddDoubleSeries(BoliLower.Sender, TAlphaColors.Gray);
chart.AddPanel;
Panel := chart.AddPanel;
// Add RSI (Relative Strength Index)
var Rsi: IMycConverter<Double, Double> := TGenericIndicator<Double, Double>.Create(TIndicators.CreateRSI(14));
Closes.Sender.Link(Rsi);
chart.Panels[1].AddDoubleSeries(Rsi.Sender, TAlphaColors.Fuchsia);
{
Panel.AddDoubleSeries(Rsi.Sender, TAlphaColors.Fuchsia);
// Add MACD (12, 26, 9)
var Macd: IMycConverter<Double, TMacdResult> := TGenericIndicator<Double, TMacdResult>.Create(TIndicators.CreateMACD(12, 26, 9));
Closes.Sender.Link(Macd);
var MacdLine: IMycConverter<TMacdResult, Double> := TMycGenericConverter<TMacdResult, Double>.Create(function(const Item: TMacdResult): Double begin Result := Item.MacdLine; end);
Panel := chart.AddPanel;
var MacdLine: IMycConverter<TMacdResult, Double> :=
TMycGenericConverter<TMacdResult, Double>.Create(function(const Item: TMacdResult): Double begin Result := Item.MacdLine; end);
Macd.Sender.Link(MacdLine);
chart.AddDoubleSeries(MacdLine.Sender, TAlphaColors.Orange);
Panel.AddDoubleSeries(MacdLine.Sender, TAlphaColors.Orange);
var MacdSignal: IMycConverter<TMacdResult, Double> := TMycGenericConverter<TMacdResult, Double>.Create(function(const Item: TMacdResult): Double begin Result := Item.SignalLine; end);
var MacdSignal: IMycConverter<TMacdResult, Double> :=
TMycGenericConverter<TMacdResult, Double>.Create(function(const Item: TMacdResult): Double begin Result := Item.SignalLine; end);
Macd.Sender.Link(MacdSignal);
chart.AddDoubleSeries(MacdSignal.Sender, TAlphaColors.Dodgerblue);
Panel.AddDoubleSeries(MacdSignal.Sender, TAlphaColors.Dodgerblue);
var MacdHist: IMycConverter<TMacdResult, Double> := TMycGenericConverter<TMacdResult, Double>.Create(function(const Item: TMacdResult): Double begin Result := Item.Histogram; end);
var MacdHist: IMycConverter<TMacdResult, Double> :=
TMycGenericConverter<TMacdResult, Double>.Create(function(const Item: TMacdResult): Double begin Result := Item.Histogram; end);
Macd.Sender.Link(MacdHist);
chart.AddDoubleSeries(MacdHist.Sender, TAlphaColors.Lightgreen, 1.0);
Panel.AddDoubleSeries(MacdHist.Sender, TAlphaColors.Lightgreen, 1.0);
Panel := chart.AddPanel;
// Add Stochastic Oscillator (14, 3) - This needs OHLC data, not just Close prices.
var Stoch: IMycConverter<TOhlcItem, TStochasticResult> := TGenericIndicator<TOhlcItem, TStochasticResult>.Create(TIndicators.CreateStochastic(14, 3));
var Stoch: IMycConverter<TOhlcItem, TStochasticResult> :=
TGenericIndicator<TOhlcItem, TStochasticResult>.Create(TIndicators.CreateStochastic(14, 3));
Ohlc.Sender.Link(Stoch);
var StochK: IMycConverter<TStochasticResult, Double> := TMycGenericConverter<TStochasticResult, Double>.Create(function(const Item: TStochasticResult): Double begin Result := Item.K; end);
var StochK: IMycConverter<TStochasticResult, Double> :=
TMycGenericConverter<TStochasticResult, Double>.Create(function(const Item: TStochasticResult): Double begin Result := Item.K; end);
Stoch.Sender.Link(StochK);
chart.AddDoubleSeries(StochK.Sender, TAlphaColors.Green);
Panel.AddDoubleSeries(StochK.Sender, TAlphaColors.Green);
var StochD: IMycConverter<TStochasticResult, Double> := TMycGenericConverter<TStochasticResult, Double>.Create(function(const Item: TStochasticResult): Double begin Result := Item.D; end);
var StochD: IMycConverter<TStochasticResult, Double> :=
TMycGenericConverter<TStochasticResult, Double>.Create(function(const Item: TStochasticResult): Double begin Result := Item.D; end);
Stoch.Sender.Link(StochD);
chart.AddDoubleSeries(StochD.Sender, TAlphaColors.Red);
}
OhlcPoint.Sender.Link(TimeStamps);
chart.SetXAxisSeries<TDateTime>(Timestamps.Sender);
chart.Panels[0].AddOhlcSeries(Ohlc.Sender);
Panel.AddDoubleSeries(StochD.Sender, TAlphaColors.Red);
var done := ExecuteStrategy(Symbol, OhlcPoint);